Henry Kravis, co-founder of KKR (NYSE: KKR), spoke to CNBC Wednesday. Kravis discussed the election, the state of private equity and the global economy.

Kravis defended private equity and small business, saying that his firm never left a company saddled with debt. Recently, private equity has been thrust to the forefront of political discourse with Democrats using Mitt Romney's history at Bain Capital against the Republican presidential candidate.

On taxes, Kravis said that the entire tax code should be changed. Specifically, he commented on the carried interest taxes that benefit private equity, citing that they benefit other industries such as real estate more than they do private equity. He would also like to see the entire tax code rewritten in a simpler manner.

KKR targets returns of 7 percent over the S&P 500 and he believes that this goal is feasible, even given the weak global economy. He does note that the global financial system has witnessed the worst financial conditions since the Great Depression, and yet the global economy has managed to muddle along.